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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   29 32 32 32 32 32 32 32 32 32 33
Closed Higher   13 20 16 20 22 25 21 20 22 21 21
Exceeded High   13 14 15 16 22 24 19 17 18 19 15
Scenario Percentage   100% 70% 94% 80% 100% 96% 90% 85% 82% 90% 71%
Avg Max Increase   4.12% 5.70% 5.91% 7.34% 5.43% 5.57% 5.94% 5.05% 6.55% 4.75% 2.54%
Max Increase   9.67% 19.35% 16.77% 13.74% 13.76% 12.67% 13.16% 10.75% 16.88% 11.98% 5.69%
Avg Days To Max Increase   19 14 18 21 18 17 18 16 18 12 10
Avg Max Decline   -1.79% -1.38% -2.21% -1.13% -1.64% -1.77% -1.17% -1.17% -1.74% -1.41% -0.37%
Max Decline   -5.57% -3.31% -9.21% -5.77% -5.55% -6.34% -5.18% -6.03% -5.91% -4.79% -1.53%
Avg Days to Max Decline   9 8 7 8 14 7 6 5 9 6 2
2014 Contract Condition   Yes   Yes Yes Yes Yes   Yes Yes Yes Yes
Action   Yes   Yes Yes Yes Yes   Yes Yes Yes Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   29 32 32 32 32 32 32 32 32 32 33
Closed Lower   16 12 16 11 10 7 11 12 10 11 11
Penetrated Low   12 9 10 5 6 4 10 7 7 5 7
Scenario Percentage   75% 75% 63% 45% 60% 57% 91% 58% 70% 45% 64%
Avg Max Decline   8.61% 7.89% 12.54% 9.48% 5.13% 10.18% 6.26% 7.36% 3.31% 4.98% 4.14%
Max Decline   21.10% 15.32% 42.85% 23.85% 15.58% 14.67% 19.01% 13.27% 4.41% 9.42% 8.38%
Avg Days To Max Decline   17 15 17 17 11 20 17 15 10 9 11
Avg Max Increase   -2.09% -3.39% -2.75% -2.18% -1.92% -3.22% -2.14% -1.14% -1.63% -1.75% -0.95%
Max Increase   -6.51% -12.09% -6.02% -3.72% -5.01% -6.30% -5.92% -6.13% -5.66% -2.96% -3.36%
Avg Days to Max Increase   7 12 10 9 5 14 7 9 6 6 3
2014 Contract Condition     Yes         Yes        
Action     No         Yes        
High 1629.50 1673.90 1686.30 1711.50 1756.00 1799.00 1838.10 1838.00 1858.90 1877.20 1892.00 1922.00
Low 1532.40 1578.50 1606.30 1616.30 1629.90 1731.00 1755.90 1757.50 1725.90 1823.90 1803.60 1855.00
Close/Last 1579.60 1661.10 1611.50 1660.90 1737.70 1790.90 1834.50 1769.80 1850.60 1864.60 1877.90 1921.50

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